CVaR is a popular risk measure that come under the umbrella of coherent risk measures. Utility-based shortfall risk (UBSR) [1]} is a risk measure that is closely related to CVaR, and one that belongs to the class of convex risk measures. UBSR as a risk measure is preferable over CVaR for two reasons: (i) Unlike CVaR, UBSR is invariant under randomization; and (ii) UBSR involves a utility function that can be chosen to encode the risk associated with each value the r.v. \(X\)  takes, while CVaR is concerned primarily with values of \(X\)  beyond a certain quantile.
